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Forecasting volatility of stock indices with ARCH model

Alam, Md. Zahangir; Siddikee, Md. Noman; Masukujjaman, Md. - In: International journal of financial research 4 (2013) 2, pp. 126-143

Persistent link: https://www.econbiz.de/10010205105

Conditional heteroskedasticity in the volatility of asset returns

Ding, Yashuang - 2021

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Forecasting the daily dynamic hedge ratios in emerging European stock futures markets : evidence from GARCH models

Choudhry, Taufiq; Hasan, Mohammad S.; Zhang, Yuanyuan - In: International journal of banking, accounting and finance 10 (2019) 1, pp. 67-100

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Forecasting the daily time‐varying beta of European banks during the crisis period : comparison between GARCH models and the Kalman filter

Zhang, Yuanyuan; Choudhry, Taufiq - In: Journal of forecasting 36 (2017) 8, pp. 956-973

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Predicting the volatility of the Russell 3000 stock index

Xiao, Bing - In: International journal of financial research 7 (2016) 4, pp. 18-28

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Bivariate volatility modeling with high-frequency data

Matei, Marius; Rovira, Xari; Agell, Núria - In: Econometrics : open access journal 7 (2019) 3/41, pp. 1-15

leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that … volatility information improves the day volatility estimation. The results indicate a forecasting improvement using bivariate …We propose a methodology to include night volatility estimates in the day volatility modeling problem with high …

Persistent link: https://www.econbiz.de/10012160811